DiscrepancyStatistics Class Reference

Statistic tool for sequences with discrepancy calculation. More...

#include <ql/math/statistics/discrepancystatistics.hpp>

Inheritance diagram for DiscrepancyStatistics:

Public Types
typedef SequenceStatistics::value_type	value_type
Public Types inherited from GenericSequenceStatistics< Statistics >
typedef Statistics	statistics_type
typedef std::vector< typename Statistics::value_type >	value_type

Public Member Functions
	DiscrepancyStatistics (Size dimension)
Public Member Functions inherited from GenericSequenceStatistics< Statistics >
	GenericSequenceStatistics (Size dimension=0)
Size	size () const
Matrix	covariance () const
	returns the covariance Matrix
Matrix	correlation () const
	returns the correlation Matrix
Size	samples () const
Real	weightSum () const
std::vector< Real >	mean () const
std::vector< Real >	variance () const
std::vector< Real >	standardDeviation () const
std::vector< Real >	downsideVariance () const
std::vector< Real >	downsideDeviation () const
std::vector< Real >	semiVariance () const
std::vector< Real >	semiDeviation () const
std::vector< Real >	errorEstimate () const
std::vector< Real >	skewness () const
std::vector< Real >	kurtosis () const
std::vector< Real >	min () const
std::vector< Real >	max () const
std::vector< Real >	gaussianPercentile (Real y) const
std::vector< Real >	percentile (Real y) const
std::vector< Real >	gaussianPotentialUpside (Real percentile) const
std::vector< Real >	potentialUpside (Real percentile) const
std::vector< Real >	gaussianValueAtRisk (Real percentile) const
std::vector< Real >	valueAtRisk (Real percentile) const
std::vector< Real >	gaussianExpectedShortfall (Real percentile) const
std::vector< Real >	expectedShortfall (Real percentile) const
std::vector< Real >	regret (Real target) const
std::vector< Real >	gaussianShortfall (Real target) const
std::vector< Real >	shortfall (Real target) const
std::vector< Real >	gaussianAverageShortfall (Real target) const
std::vector< Real >	averageShortfall (Real target) const
void	reset (Size dimension=0)
void	add (const Sequence &sample, Real weight=1.0)
void	add (Iterator begin, Iterator end, Real weight=1.0)

1-dimensional inspectors
Real	discrepancy () const
template<class Sequence>
void	add (const Sequence &sample, Real weight=1.0)
template<class Iterator>
void	add (Iterator begin, Iterator end, Real weight=1.0)
void	reset (Size dimension=0)

Additional Inherited Members
Size	dimension_
std::vector< statistics_type >	stats_
std::vector< Real >	results_
Matrix	quadraticSum_

Detailed Description

Statistic tool for sequences with discrepancy calculation.

It inherit from SequenceStatistics<Statistics> and adds \( L^2 \) discrepancy calculation